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Moment‐based estimation for the multivariate COGARCH(1,1) process

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  • Thiago do Rêgo Sousa
  • Robert Stelzer

Abstract

For the multivariate COGARCH process, we obtain explicit expressions for the second‐order structure of the “squared returns” process observed on an equidistant grid. Based on this, we present a generalized method of moments estimator for its parameters. Under appropriate moment and strong mixing conditions, we show that the resulting estimator is consistent and asymptotically normal. Sufficient conditions for strong mixing, stationarity and identifiability of the model parameters are discussed in detail. We investigate the finite sample behavior of the estimator in a simulation study.

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  • Thiago do Rêgo Sousa & Robert Stelzer, 2022. "Moment‐based estimation for the multivariate COGARCH(1,1) process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 681-717, June.
    • Handle: RePEc:bla:scjsta:v:49:y:2022:i:2:p:681-717
    DOI: 10.1111/sjos.12531
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    References listed on IDEAS

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